Evaluating the Performance of Ethical and Non‐ethical Funds: A Matched Pair Analysis

Abstract

This paper studies the performance of 60 European funds from four countries. The paper extends the UK matched pair approach for fund evaluation developed by Mallin et al. (1995) to a European setting. The findings suggest that there is no difference between ethical and non-ethical funds according to the performance measures employed. Neither type of fund displayed any ability to time the market. Finally, the results indicate that the management fee is a significant explanatory variable for the Jensen measure as Chen et al. (1992) and Grinblatt and Titman (1994) suggested. Copyright Blackwell Publishers Ltd, 2005.

Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

“…This indicates that we cannot reject the null hypothesis, which states that the distribution function of the portfolio return of the conventional mutual funds is not significantly higher than that of the SR mutual funds, at any arbitrary significance level. Therefore, we are in line with several former studies (Bauer et al, 2005;Bello, 2005;Guerard, 1997;Hamilton et al, 1993;Kreander et al, 2005;Mallin et al, 1995;Statman, 2000) that find no significant differences in fund performance between conventional and SR mutual funds.…”

“…The financial performance of SR mutual funds is a heavily discussed area in literature (see Bauer et al, 2005;Bello, 2005;Guerard, 1997;Hamilton et al, 1993;Kreander et al, 2005;Mallin et al, 1995;Statman, 2000). We compare the implied financial risk tolerances, the overall returns, the overall risks (which we measure in terms of standard deviation), and the out-of-sample returns of the conventional and SR mutual funds.…”

Green and Good? The Investment Performance of US Environmental Mutual Funds

“…Kreander et al (2005) find that management fee is a significant explanatory variable for the Jensen measure, while Benson et al (2006) find no difference in fee levels nor managerial stock-picking skills between SRI and non-SRI funds. Therefore, there seems to be consensus in the fact that some factors such as age and size should be taken into account when comparing mutual fund performance.…”

Constant and variable returns to scale DEA models for socially responsible investment funds

“…Analogously, Bauer et al (2005) finds no evidence of significance differences in risk-adjusted returns between 103 German, UK and U.S. ethical mutual funds and 309 conventional funds of similar age and size in the period from January 1990 through March 2001. In addition, Kreander et al (2005) studies the performance of 30 ethical European mutual funds from UK, Sweden, Germany and the Netherlands in the period January 1995-December 2001. Their performance is compared with that of 30 non ethical mutual funds with similar age, size, country and investment universe; in this case, too, the findings suggest that there is no difference between ethical and non ethical mutual funds in terms of performance.…”